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Teoriya Veroyatnostei i ee Primeneniya, 2004, Volume 49, Issue 4, Pages 791–794
DOI: https://doi.org/10.4213/tvp196
(Mi tvp196)
 

This article is cited in 2 scientific papers (total in 2 papers)

Short Communications

Maxima of independent sums in the presence of heavy tails

A. V. Lebedev

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Full-text PDF (477 kB) Citations (2)
References:
Abstract: Let
$$Y_{mn}=\max_{1\le i\le m}\sum_{j=1}^n X_{ij},\qquad m,n\ge 1,$$
be a family of extremes, where $X_{ij}$, $i,j\ge 1$, are independent with common subexponential distribution $F$. The limit behavior of $Y_{mn}$ is investigated as $m,n\to\infty$. Various nondegenerate limit laws are obtained (Fréchet and Gumbel), depending on the relative rate of growth of $m,n$ and the tail behavior of $F$.
Keywords: maxima, sums, regularly varying tails, subexponentiality, nondegenerate limit laws, linear scalingю.
Received: 17.03.2003
English version:
Theory of Probability and its Applications, 2005, Volume 49, Issue 4, Pages 700–703
DOI: https://doi.org/10.1137/S0040585X9798138X
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Lebedev, “Maxima of independent sums in the presence of heavy tails”, Teor. Veroyatnost. i Primenen., 49:4 (2004), 791–794; Theory Probab. Appl., 49:4 (2005), 700–703
Citation in format AMSBIB
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\transl
\jour Theory Probab. Appl.
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\issue 4
\pages 700--703
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  • https://www.mathnet.ru/eng/tvp196
  • https://doi.org/10.4213/tvp196
  • https://www.mathnet.ru/eng/tvp/v49/i4/p791
    Erratum
    This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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